Motivated by the growing literature on options as non-redundant assets, we investigate how option trading impacts underlying stock prices in the cross section controlling for stock market activities. We find both option trades and quotes are able to predict future stock price movement but stock...

Underlying each stock trades hundreds of options at different strike prices and maturities. The order flow from these option transactions reveals important information about the underlying stock price movement and its volatility variation. How to aggregate the trade information of different...

We develop an ex-ante measure of expected stock returns based on analyst price targets. We then show that ex-ante measures of volatility, skewness, and kurtosis implied from stock option prices are positively related to the cross section of ex-ante expected stock returns. While expected returns...

Prior evidence on pre-bankruptcy filing informed trading is mixed. The inconclusive findings might result from the sole focus on stock trading. We reassess the presence of pre-filing informed and insider trades by examining the information content of options trading before bankruptcy...

This paper investigates the market microstructure effects on client firms of equity holdings by relationship banks, i.e., lenders and/or underwriters, prior to the 2008 financial crisis. It intends to shed light on the need for “the Volcker Rule.” We find that banks' equity holdings of...

We propose that the volatility of order flow is a proxy for costs of information asymmetry, as order flow volatility varies positively with parameters that also influence adverse selection costs of trading. Empirically, order flow volatility is significantly higher prior to earnings or merger...